Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 16 (1D) | Oct 17 (2D) | Oct 20 (5D) | Oct 21 (6D) | Oct 22 (7D) | Oct 23 (8D) | Oct 24 (9D) | Oct 27 (12D) | Oct 28 (13D) | Oct 29 (14D) | Oct 31 (16D) | Nov 07 (23D) | Nov 14 (30D) | Nov 21 (37D) | Nov 28 (44D) | Dec 05 (51D) | Dec 12 (58D) | Dec 19 (65D) | Dec 26 (72D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 657.984 | 655.007 | 649.101 | 647.568 | 646.157 | 644.845 | 643.612 | 640.276 | 639.26 | 638.282 | 636.425 | 630.706 | 625.81 | 621.458 | 617.503 | 613.851 | 610.442 | 607.233 | 604.194 |
| upper | 672.356 | 675.333 | 681.239 | 682.772 | 684.183 | 685.495 | 686.728 | 690.064 | 691.08 | 692.058 | 693.915 | 699.634 | 704.53 | 708.882 | 712.837 | 716.489 | 719.898 | 723.107 | 726.146 |
| expected move | 7.186 | 10.163 | 16.069 | 17.602 | 19.013 | 20.325 | 21.558 | 24.894 | 25.91 | 26.888 | 28.745 | 34.464 | 39.36 | 43.712 | 47.667 | 51.319 | 54.728 | 57.937 | 60.976 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
